If it didn't have cocktail sauce, it was probably marinated in Olive oil and chopped garlic with s&p. I've done up something like this and added some lemon juice to the marinade. I marinaded them for only 30 min as the lemon juice will turn them into seviche. Another method would be to brush BBQ sauce on them while cooking.

I take the veined and shelled shrimp and put them on skewers, wrapped in bacon and with some red bell pepper and onion chunks alternating with the shrimp. I brush them with spicy barbecue sauce as they grill over the coals. You just have to watch the flare-ups from the bacon fat.

Two very different dishes come to mind and neither one is really grilled. One is called Bar B Qed shrimp the other is called Cajun Pan Grilled Shrimp. The first is usually served head on in the shell in a bowl with a dipping broth with lots of French bread. The second is usually served head on in the shell with some kind of pasta and a very light white garlic sauce. The BAR B Qed recipe is sort of involved the other is pretty simple but nothing like the first. Both are very good and have a pronounced garlic flavor. Of the two BBQed is the favorite in my house.